Exceedance Counts and GOD’s Order Statistics

Michael Falk ()
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Michael Falk: University of Wuerzburg

Sankhya A: The Indian Journal of Statistics, 2023, vol. 85, issue 2, No 20, 1666 pages

Abstract: Abstract In this paper we derive a characterization of the distribution of the number of exceedances among the components of a random vector in terms of order statistics of generators of D-norms (GOD). The computation of the fragility index is an immediate consequence.

Keywords: Multivariate extreme value theory; multivariate max-domain of attraction; fragility index; D-norm; generator of D-norm; multivariate exceedance; ordered D-norms; generalized Pareto distributions; generalized Pareto copula.; 60G70; 62G32; 62H05 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s13171-023-00307-9

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